View source for Fokker–Planck equation

{{Short description|Partial differential equation}}
[[Image:FokkerPlanck.gif|thumb|A solution to the one-dimensional Fokker–Planck equation, with both the drift and the diffusion term. In this case the initial condition is a [[Dirac delta function|Dirac delta function]] centered away from zero velocity. Over time the distribution widens due to random impulses.]]
In [[Physics:Statistical mechanics|statistical mechanics]] and [[Information theory|information theory]], the '''Fokker–Planck equation''' is a [[Partial differential equation|partial differential equation]] that describes the [[Time evolution|time evolution]] of the [[Physics:Probability density function|probability density function]] of the velocity of a particle under the influence of [[Physics:Drag|drag]] forces and random forces, as in [[Brownian motion]]. The equation can be generalized to other observables as well.<ref>{{Cite book| title = Statistical Physics: statics, dynamics and renormalization| author = Leo P. Kadanoff| publisher = World Scientific| isbn = 978-981-02-3764-6| year = 2000| url = https://books.google.com/books?id=22dadF5p6gYC&pg=PA135 }}</ref> The Fokker-Planck equation has multiple applications in information theory, graph theory, data science, finance, economics etc.

It is named after Adriaan Fokker and [[Biography:Max Planck|Max Planck]], who described it in 1914 and 1917.<ref>{{cite journal|last=Fokker|first=A. D.|year=1914|title=Die mittlere Energie rotierender elektrischer Dipole im Strahlungsfeld|url=https://zenodo.org/record/1424274|journal=[[Physics:Annalen der Physik|Ann. Phys.]]|volume=348|issue=4. Folge 43|pages=810–820|bibcode=1914AnP...348..810F|doi=10.1002/andp.19143480507}}</ref><ref>{{cite journal|last=Planck|first=M.|year=1917|title=Über einen Satz der statistischen Dynamik und seine Erweiterung in der Quantentheorie|url=https://biodiversitylibrary.org/page/29213319|journal=Sitzungsberichte der Preussischen Akademie der Wissenschaften zu Berlin|volume=24|pages=324–341}}</ref>  It is also known as the '''Kolmogorov forward equation''', after [[Biography:Andrey Kolmogorov|Andrey Kolmogorov]], who independently discovered it in 1931.<ref>{{cite journal |first=Andrei |last=Kolmogorov |title=Über die analytischen Methoden in der Wahrscheinlichkeitstheorie |journal=[[Mathematische Annalen]] |volume=104 |issue=1 |trans-title=On Analytical Methods in the Theory of Probability |pages=415–458 [pp. 448–451] |year=1931 |language=de |doi=10.1007/BF01457949 |s2cid=119439925 }}</ref> When applied to particle position distributions, it is better known as the '''Smoluchowski equation''' (after Marian Smoluchowski),<ref>{{cite book|last=Dhont|first=J. K. G.|url=https://books.google.com/books?id=mmArTF5SJ9oC&pg=PA183|title=An Introduction to Dynamics of Colloids|publisher=Elsevier|year=1996|isbn=978-0-08-053507-4|page=183}}</ref> and in this context it is equivalent to the [[Physics:Convection–diffusion equation|convection–diffusion equation]]. When applied to particle position and momentum distributions, it is known as the [[Klein–Kramers equation]]. The case with zero [[Physics:Diffusion|diffusion]] is the [[Continuity equation|continuity equation]]. The Fokker&ndash;Planck equation is obtained from the [[Physics:Master equation|master equation]] through [[Kramers–Moyal expansion]].<ref>{{cite book |first1=Wolfgang  |last1=Paul |first2=Jörg |last2=Baschnagel |chapter=A Brief Survey of the Mathematics of Probability Theory |title=Stochastic Processes |pages=17–61 [esp. 33–35] |publisher=Springer |year=2013 |isbn= 978-3-319-00326-9|doi=10.1007/978-3-319-00327-6_2 }}</ref>

The first consistent microscopic derivation of the Fokker–Planck equation in the single scheme of [[Physics:Classical mechanics|classical]] and [[Physics:Quantum mechanics|quantum mechanics]] was performed by Nikolay Bogoliubov and [[Biography:Nikolay Mitrofanovich Krylov|Nikolay Krylov]].<ref>N. N. Bogolyubov Jr. and D. P. Sankovich (1994). "N. N. Bogolyubov and statistical mechanics". ''Russian Math. Surveys'' '''49'''(5): 19—49. {{doi|10.1070/RM1994v049n05ABEH002419}}</ref><ref>N. N. Bogoliubov and [[Biography:Nikolay Mitrofanovich Krylov|N. M. Krylov]] (1939). ''Fokker–Planck equations generated in perturbation theory by a method based on the spectral properties of a perturbed Hamiltonian''. Zapiski Kafedry Fiziki Akademii Nauk Ukrainian SSR '''4''': 81–157 (in Ukrainian).</ref>

==One dimension==
In one spatial dimension ''x'', for an [[Itô calculus|Itô process]] driven by the standard [[Wiener process]] <math>W_t</math> and described by the [[Stochastic differential equation|stochastic differential equation]] (SDE)
<math display="block">dX_t = \mu(X_t, t) \,dt + \sigma(X_t, t) \,dW_t</math>
with [[Physics:Drift velocity|drift]] <math>\mu(X_t, t)</math> and [[Physics:Diffusion|diffusion]] coefficient <math>D(X_t, t) = \sigma^2(X_t, t)/2</math>, the Fokker–Planck equation for the probability density <math>p(x, t)</math> of the random variable <math>X_t</math> is <ref>{{Citation |title=The Fokker–Planck Equation: Methods of Solution and Applications |last=Risken |first=H. |volume=Second Edition, Third Printing |pages=72 |date=1996 |publication-date=1996}}</ref>{{Equation box 1|cellpadding|border|indent=:|equation=<math> \frac{\partial}{\partial t} p(x, t) = -\frac{\partial}{\partial x}\left[\mu(x, t) p(x, t)\right] + \frac{\partial^2}{\partial x^2}\left[D(x, t) p(x, t)\right]. </math>|border colour=#0073CF|background colour=#F5FFFA}}{{hidden begin
|title = Link between the Itô SDE and the Fokker–Planck equation
}}
In the following, use <math>\sigma = \sqrt{2D}</math>.

Define the [[Infinitesimal generator (stochastic processes)|infinitesimal generator]] <math>\mathcal{L}</math> (the following can be found in Ref.<ref name=ottinger>{{cite book|last=Öttinger|first=Hans Christian|title=Stochastic Processes in Polymeric Fluids|date=1996|publisher=Springer-Verlag|location=Berlin-Heidelberg|isbn=978-3-540-58353-0|page=75}}</ref>):
<math display="block">
 \mathcal{L}p(X_t) = \lim_{\Delta t \to 0} \frac1{\Delta t}\left(\mathbb{E}\big[p(X_{t + \Delta t}) \mid X_t = x \big] - p(x)\right).
</math>

The ''transition probability'' <math>\mathbb{P}_{t, t'}(x \mid x')</math>, the probability of going from <math>(t', x')</math> to <math>(t, x)</math>, is introduced here; the expectation can be written as
<math display="block">
 \mathbb{E}(p(X_{t + \Delta t}) \mid X_t = x) = \int p(y) \, \mathbb{P}_{t + \Delta t,t}(y \mid x) \,dy.
</math>
Now we replace in the definition of <math>\mathcal{L}</math>, multiply by <math>\mathbb{P}_{t, t'}(x \mid x')</math> and integrate over <math>dx</math>. The limit is taken on
<math display="block">
 \int p(y) \int \mathbb{P}_{t + \Delta t, t}(y \mid x)\,\mathbb{P}_{t, t'}(x \mid x') \,dx \,dy - \int p(x) \, \mathbb{P}_{t, t'}(x \mid x') \,dx.
</math>
Note now that
<math display="block">
 \int \mathbb{P}_{t + \Delta t, t}(y \mid x) \, \mathbb{P}_{t, t'}(x \mid x') \,dx = \mathbb{P}_{t + \Delta t, t'}(y \mid x'),
</math>
which is the Chapman–Kolmogorov theorem. Changing the dummy variable <math>y</math> to <math>x</math>, one gets
<math display="block">
\begin{align}
 \int p(x) \lim_{\Delta t \to 0} \frac1{\Delta t} \left( \mathbb{P}_{t + \Delta t, t'}(x \mid x') - \mathbb{P}_{t, t'}(x \mid x') \right) \,dx,
\end{align}
</math>
which is a time derivative. Finally we arrive to
<math display="block">
 \int [\mathcal{L}p(x)] \mathbb{P}_{t, t'}(x \mid x') \,dx = \int p(x) \, \partial_t \mathbb{P}_{t, t'}(x \mid x') \,dx.
</math>
From here, the Kolmogorov backward equation can be deduced. If we instead use the adjoint operator of <math>\mathcal{L}</math>, <math>\mathcal{L}^\dagger</math>, defined such that
<math display="block">
 \int [\mathcal{L}p(x)] \mathbb{P}_{t, t'}(x \mid x') \,dx = \int p(x) [\mathcal{L}^\dagger \mathbb{P}_{t, t'}(x \mid x')] \,dx,
</math>
then we arrive to the Kolmogorov forward equation, or Fokker–Planck equation, which, simplifying the notation <math>p(x, t) = \mathbb{P}_{t, t'}(x \mid x')</math>, in its differential form reads
<math display="block">
 \mathcal{L}^\dagger p(x, t) = \partial_t p(x, t).
</math>

Remains the issue of defining explicitly <math>\mathcal{L}</math>. This can be done taking the expectation from the integral form of the [[Itô's lemma]]:
<math display="block">
 \mathbb{E}\big(p(X_t)\big) = p(X_0) + \mathbb{E}\left(\int_0^t \left(\partial_t + \mu\partial_x + \frac{\sigma^2}{2}\partial_x^2 \right) p(X_{t'}) \,dt'\right).
</math>

The part that depends on <math>dW_t</math> vanished because of the martingale property.

Then, for a particle subject to an Itô equation, using
<math display="block">
 \mathcal{L} = \mu\partial_x + \frac{\sigma^2}{2}\partial_x^2,
</math>
it can be easily calculated, using integration by parts, that
<math display="block">
 \mathcal{L}^\dagger = -\partial_x(\mu \cdot) + \frac12 \partial_x^2(\sigma^2 \cdot),
</math>
which bring us to the Fokker–Planck equation:
<math display="block">
 \partial_t p(x, t) = -\partial_x \big(\mu(x, t) \cdot p(x, t)\big) + \partial_x^2\left(\frac{\sigma(x, t)^2}{2} \, p(x,t)\right).
</math>

{{hidden end}}

While the Fokker–Planck equation is used with problems where the initial distribution is known, if the problem is to know the distribution at previous times, the [[Feynman–Kac formula]] can be used, which is a consequence of the Kolmogorov backward equation.

The stochastic process defined above in the Itô sense can be rewritten within the [[Stratonovich integral|Stratonovich]] convention as a Stratonovich SDE:
<math display="block">dX_t = \left[\mu(X_t, t) - \frac{1}{2} \frac{\partial}{\partial X_t}D(X_t, t)\right] \,dt + \sqrt{2 D(X_t, t)} \circ dW_t.</math>
It includes an added noise-induced drift term due to diffusion gradient effects if the noise is state-dependent. This convention is more often used in physical applications. Indeed, it is well known that any solution to the Stratonovich SDE is a solution to the Itô SDE.

The zero-drift equation with constant diffusion can be considered as a model of classical [[Brownian motion]]:
<math display="block">\frac{\partial}{\partial t} p(x, t) = D_0\frac{\partial^2}{\partial x^2}\left[p(x, t)\right].</math>

This model has discrete spectrum of solutions if the condition of fixed boundaries is added for <math>\{0 \leq x \leq L\}</math>:
<math display="block">\begin{align}
p(0, t) &= p(L, t) = 0, \\
p(x, 0) &= p_0(x).
\end{align}</math>

It has been shown<ref name=kam2014>{{cite journal | last = Kamenshchikov | first = S. | title = Clustering and Uncertainty in Perfect Chaos Systems| journal = Journal of Chaos | volume = 2014 | pages = 1–6 | year = 2014 | doi=10.1155/2014/292096| arxiv = 1301.4481 | s2cid = 17719673 | doi-access = free }}</ref> that in this case an analytical spectrum of solutions allows deriving a local uncertainty relation for the coordinate-velocity phase volume:
<math display="block"> \Delta x \, \Delta v \geq D_0. </math>
Here <math>D_0</math> is a minimal value of a corresponding diffusion spectrum <math>D_j</math>, while <math>\Delta x</math> and <math>\Delta v</math> represent the uncertainty of coordinate–velocity definition.

==Higher dimensions==
More generally, if

<math display="block">d\mathbf{X}_t = \boldsymbol{\mu}(\mathbf{X}_t,t)\,dt + \boldsymbol{\sigma}(\mathbf{X}_t,t)\,d\mathbf{W}_t,</math>

where <math>\mathbf{X}_t</math> and <math>\boldsymbol{\mu}(\mathbf{X}_t,t)</math> are {{mvar|N}}-dimensional vectors,  <math>\boldsymbol{\sigma}(\mathbf{X}_t,t)</math> is an <math>N \times M</math> matrix and <math>\mathbf{W}_t</math> is an ''M''-dimensional standard [[Wiener process]], the probability density <math>p(\mathbf{x},t)</math> for <math>\mathbf{X}_t</math> satisfies the Fokker–Planck equation{{Equation box 1|cellpadding|border|indent=:|equation=<math> \frac{\partial p(\mathbf{x},t)}{\partial t} = -\sum_{i=1}^N \frac{\partial}{\partial x_i} \left[ \mu_i(\mathbf{x},t) p(\mathbf{x},t) \right] + \sum_{i=1}^{N} \sum_{j=1}^{N} \frac{\partial^2}{\partial x_i \, \partial x_j} \left[ D_{ij}(\mathbf{x},t) p(\mathbf{x},t) \right], </math>|border colour=#0073CF|background colour=#F5FFFA}}with drift vector <math>\boldsymbol{\mu} = (\mu_1,\ldots,\mu_N)</math> and diffusion [[Tensor|tensor]] <math display="inline">\mathbf{D} = \frac{1}{2} \boldsymbol{\sigma\sigma}^\mathsf{T}</math>, i.e.<math display="block">D_{ij}(\mathbf{x},t) = \frac{1}{2}\sum_{k=1}^M \sigma_{ik}(\mathbf{x},t) \sigma_{jk}(\mathbf{x},t).</math>

If instead of an Itô SDE, a [[Stratonovich integral|Stratonovich SDE]] is considered,

<math display="block">d\mathbf{X}_t = \boldsymbol{\mu}(\mathbf{X}_t,t)\,dt + \boldsymbol{\sigma}(\mathbf{X}_t,t)\circ d\mathbf{W}_t,</math>

the Fokker–Planck equation will read:<ref name=ottinger/>{{rp|p=129}}

<math display="block">\frac{\partial p(\mathbf{x},t)}{\partial t} = -\sum_{i=1}^N \frac{\partial}{\partial x_i} \left[ \mu_i(\mathbf{x},t) \, p(\mathbf{x},t) \right] + \frac{1}{2} \sum_{k=1}^M \sum_{i=1}^{N} \frac{\partial}{\partial x_i} \left\{ \sigma_{ik}(\mathbf{x},t)  \sum_{j=1}^{N} \frac{\partial}{\partial x_j} \left[  \sigma_{jk}(\mathbf{x},t) \, p(\mathbf{x},t) \right] \right\}</math>

== Generalization ==
In general, the Fokker–Planck equations are a special case to the general Kolmogorov forward equation

<math display="block">\partial_t \rho = \mathcal{A}^*\rho</math>

where the linear operator <math>\mathcal{A}^*</math> is the [[Hermitian adjoint]] to the [[Infinitesimal generator (stochastic processes)|infinitesimal generator]] for the Markov process.<ref>{{cite book |first=Grigorios A. |last=Pavliotis |year=2014 |title=Stochastic Processes and Applications : Diffusion Processes, the Fokker-Planck and Langevin Equations |location= |publisher=Springer |isbn=978-1-4939-1322-0 |pages=38–40 |doi=10.1007/978-1-4939-1323-7_2 }}</ref>

==Examples==

===Wiener process===

A standard scalar [[Wiener process]] is generated by the [[Stochastic differential equation|stochastic differential equation]]

<math display="block">dX_t = dW_t.</math>

Here the drift term is zero and the diffusion coefficient is 1/2. Thus the corresponding Fokker–Planck equation is

<math display="block">
\frac{\partial p(x,t)}{\partial t} = \frac{1}{2} \frac{\partial^2 p(x,t)}{\partial x^2},
</math>

which is the simplest form of a [[Diffusion equation|diffusion equation]]. If the initial condition is <math>p(x,0) = \delta(x)</math>, the solution is

<math display="block"> p(x,t) = \frac{1}{\sqrt{2 \pi t}}e^{-{x^2}/({2t})}.</math>

=== Boltzmann distribution at the thermodynamic equilibrium ===

The [[Physics:Brownian dynamics|overdamped Langevin equation]]<math display="block">dx_t = -\frac{1}{k_\text{B}T} (\nabla_x U)dt + dW_t</math>gives <math display="inline">\partial_t p = \frac 1 2 \nabla\cdot \left(\frac{p}{k_\text{B}T} \nabla U + \nabla p\right)</math>. The Boltzmann distribution <math>p(x) \propto e^{- U(x)/k_\text{B} T}</math>is an equilibrium distribution, and assuming <math>U</math> grows sufficiently rapidly (that is, the potential well is deep enough to confine the particle), the Boltzmann distribution is the unique equilibrium.

===Ornstein–Uhlenbeck process===

The [[Ornstein–Uhlenbeck process]] is a process defined as

<math display="block">dX_t = -a X_t \, dt + \sigma \, dW_t.</math>

with <math>a>0</math>. Physically, this equation can be motivated as follows: a particle of mass <math> m </math> with velocity <math> V_t</math> moving in a medium, e.g., a fluid, will experience a friction force which resists motion whose magnitude can be approximated as being proportional to particle's velocity <math> -a V_t</math> with <math> a = \mathrm{constant} </math>.  Other particles in the medium will randomly kick the particle as they collide with it and this effect can be approximated by a white noise term; <math> \sigma (d W_t/dt) </math>. Newton's second law is written as

<math display="block"> m \frac{dV_t}{dt}=-a V_t +\sigma \frac{dW_t}{dt}. </math>

Taking <math> m = 1</math> for simplicity and changing the notation as <math> V_t\rightarrow X_t</math> leads to the familiar form <math>dX_t = -a X_t dt + \sigma dW_t</math>.

The corresponding Fokker–Planck equation is
<math display="block">
\frac{\partial p(x,t)}{\partial t} = a \frac{\partial}{\partial x}\left(x \,p(x,t)\right) + \frac{\sigma^2}{2} \frac{\partial^2 p(x,t)}{\partial x^2},
</math>

The stationary solution (<math>\partial_t p = 0</math>) is
<math display="block">p_{ss}(x) = \sqrt{\frac{a}{\pi \sigma^2}} e^{-{ax^2}/{\sigma^2}}.</math>

===Plasma physics===

In plasma physics, the [[Physics:Distribution function|distribution function]] for a particle species <math>s</math>, <math>p_s (\mathbf{x},\mathbf{v},t)</math>, takes the place of the [[Physics:Probability density function|probability density function]]. The corresponding Boltzmann equation is given by

<math display="block">\frac{\partial p_s}{\partial t} + \mathbf{v} \cdot \boldsymbol{\nabla} p_s + \frac{Z_s e}{m_s} \left( \mathbf{E} + \mathbf{v} \times \mathbf{B} \right) \cdot \boldsymbol{\nabla}_v p_s = -\frac{\partial}{\partial v_i} \left(p_s \langle\Delta v_i\rangle\right) + \frac{1}{2} \frac{\partial^2}{\partial v_i \, \partial v_j} \left(p_s \langle\Delta v_i \, \Delta v_j\rangle\right),</math>

where the third term includes the particle acceleration due to the [[Physics:Lorentz force|Lorentz force]] and the Fokker–Planck term at the right-hand side represents the effects of particle collisions. The quantities <math>\langle\Delta v_i\rangle</math> and <math>\langle\Delta v_i \, \Delta v_j\rangle</math> are the average change in velocity a particle of type <math>s</math> experiences due to collisions with all other particle species in unit time. Expressions for these quantities are given elsewhere.<ref name="Rosenbluth">{{Cite journal|last=Rosenbluth |first=M. N. |title=Fokker–Planck Equation for an Inverse-Square Force |journal=Physical Review |volume=107 |issue= 1|pages=1–6 |year=1957 |doi=10.1103/physrev.107.1|bibcode = 1957PhRv..107....1R |url=https://escholarship.org/uc/item/2gk1s1v8 }}</ref> If collisions are ignored, the Boltzmann equation reduces to the [[Vlasov equation]].

== Smoluchowski diffusion equation ==
Consider an overdamped Brownian particle under external force <math>F(r)</math>:<ref name=":0">{{Cite web|title=Smoluchowski Diffusion Equation|url=https://www.ks.uiuc.edu/~kosztin/PHYCS498NSM/|last=Ioan|first=Kosztin|date=Spring 2000|website=Non-Equilibrium Statistical Mechanics: Course Notes}}</ref><math display="block">m\ddot{r} = - \gamma \dot{r} + F(r) + \sigma \xi(t)</math>where the <math>m\ddot r</math> term is negligible (the meaning of "overdamped"). Thus, it is just <math>\gamma \, dr = F(r)\, dt + \sigma \, dW_t</math>. The Fokker–Planck equation for this particle is the Smoluchowski diffusion equation:
<math display="block">\partial_t P(r,t| r_0, t_0) = \nabla \cdot [D (\nabla - \beta F(r)) P(r,t| r_0, t_0)] </math>Where <math>D</math> is the diffusion constant and <math>\beta = \frac{1}{k_\text{B} T}</math>. The importance of this equation is it allows for both the inclusion of the effect of temperature on the system of particles and a spatially dependent diffusion constant.

{{Hidden begin| title = Derivation of the Smoluchowski Equation from the Fokker–Planck Equation}}
Starting with the [[Langevin equation|Langevin Equation]] of a Brownian particle in external field <math>F(r)</math>, where <math>\gamma</math> is the friction term, <math>\xi</math> is a fluctuating force on the particle, and <math>\sigma</math> is the amplitude of the fluctuation.

<math display="block">m\ddot{r} = - \gamma \dot{r} + F(r) + \sigma \xi(t)</math>

At equilibrium the frictional force is much greater than the inertial force, <math>\left\vert \gamma \dot{r} \right\vert \gg \left\vert m \ddot{r} \right\vert</math>. Therefore, the Langevin equation becomes,

<math display="block">\gamma \dot{r} = F(r) + \sigma \xi(t)</math>

Which generates the following Fokker–Planck equation,

<math display="block">\partial_t P(r,t|r_0,t_0) = \left(\nabla^2\frac{\sigma^2}{2 \gamma^2} - \nabla \cdot \frac{F(r)}{\gamma}\right) P(r,t|r_0,t_0)  </math>

Rearranging the Fokker–Planck equation,

<math display="block">\partial_t P(r,t|r_0,t_0)= \nabla \cdot \left( \nabla  D- \frac{F(r)}{\gamma}\right) P(r,t|r_0,t_0)</math>

Where <math>D =  \frac{\sigma^2}{2 \gamma^2}</math>. '''Note''', the diffusion coefficient may not necessarily be spatially independent if <math>\sigma</math> or <math>\gamma</math> are spatially dependent.

Next, the total number of particles in any particular volume is given by,

<math display="block">N_V (t| r_0, t_0) = \int_V dr P(r,t|r_0,t_0)</math>

Therefore, the flux of particles can be determined by taking the time derivative of the number of particles in a given volume, plugging in the Fokker–Planck equation, and then applying [[Divergence theorem|Gauss's Theorem]].

<math display="block">\partial_t N_V (t|r_0, t_0) = \int_V dV \nabla \cdot\left( \nabla  D- \frac{F(r)}{\gamma}\right) P(r,t|r_0, t_0)
= \int_{\partial V} d\mathbf{a} \cdot j(r,t|r_0, t_0)</math>

<math display="block">j(r,t|r_0, t_0) = \left( \nabla  D- \frac{F(r)}{\gamma}\right)P(r,t|r_0, t_0)</math>

In equilibrium, it is assumed that the flux goes to zero. Therefore, Boltzmann statistics can be applied for the probability of a particles location at equilibrium, where <math>F(r) = -\nabla U(r)</math> is a conservative force and the probability of a particle being in a state <math>r</math> is given as <math>P(r,t|r_0, t_0) = \frac{e^{-\beta U(r)}}{Z}</math>.

<math display="block">j(r,t|r_0, t_0) = \left( \nabla  D- \frac{F(r)}{\gamma}\right)\frac{e^{-\beta U(r)}}{Z} = 0</math>

<math display="block">\Rightarrow  \nabla D   = F(r) \left(\frac{1}{\gamma} - D \beta\right)</math>

This relation is a realization of the fluctuation–dissipation theorem. Now applying <math> \nabla \cdot \nabla </math> to <math>D P(r,t|r_0, t_0)</math> and using the Fluctuation-dissipation theorem,

<math display="block">\begin{align}
\nabla \cdot \nabla D P(r,t|r_0,t_0) &= \nabla \cdot D \nabla P(r,t|r_0,t_0)+ \nabla \cdot P(r,t|r_0,t_0) \nabla D \\
&=\nabla \cdot D \nabla P(r,t|r_0,t_0)+\nabla \cdot P(r,t|r_0,t_0) \frac{F(r)}{\gamma} - \nabla \cdot P(r,t|r_0,t_0) D \beta F(r)
\end{align}</math>

Rearranging,

<math display="block"> \Rightarrow \nabla \cdot \left( \nabla  D- \frac{F(r)}{\gamma}\right)P(r,t|r_0,t_0)=
\nabla \cdot D(\nabla-\beta F(r)) P(r,t|r_0,t_0)</math>

Therefore, the Fokker–Planck equation becomes the Smoluchowski equation,
<math display="block">\partial_t P(r,t| r_0, t_0) = \nabla \cdot D (\nabla - \beta F(r)) P(r,t| r_0, t_0) </math>
for an arbitrary force <math>F(r)</math>.{{Hidden end}}

==Computational considerations==
Brownian motion follows the [[Langevin equation]], which can be solved for many different stochastic forcings with results being averaged (canonical ensemble in [[Physics:Molecular dynamics|molecular dynamics]]). However, instead of this computationally intensive approach, one can use the Fokker–Planck equation and consider the probability <math>p(\mathbf{v}, t)\,d\mathbf{v}</math>  of the particle having a velocity in the interval <math>(\mathbf{v}, \mathbf{v} + d\mathbf{v})</math> when it starts its motion with <math>\mathbf{v}_0</math> at time&nbsp;0.

[[File:Linear Potential2.gif|alt=|thumb|439x439px|Brownian dynamics simulation for particles in 1-D linear potential compared with the solution of the Fokker–Planck equation]]

=== 1-D linear potential example===
Brownian dynamics in one dimension is simple.<ref name=":0" /><ref>{{Cite web|title=The Brownian Dynamics Method Applied| url=https://www.ks.uiuc.edu/~kosztin/PHYCS498NSM/|last=Kosztin|first=Ioan|date=Spring 2000|website=Non-Equilibrium Statistical Mechanics: Course Notes}}</ref>

==== Theory ====
Starting with a linear potential of the form <math>U(x) = cx</math> the corresponding Smoluchowski equation becomes,

<math display="block">\partial_t P(x,t| x_0, t_0) = \partial_x D (\partial_x + \beta c)  P(x,t| x_0, t_0) </math>

Where the diffusion constant, <math>D</math>, is constant over space and time. The boundary conditions are such that the probability vanishes at <math>x \rightarrow \pm \infin </math> with an initial condition of the ensemble of particles starting in the same place, <math>P(x,t|x_0,t_0)= \delta (x-x_0) </math>.

Defining <math>\tau = D t </math> and <math>b = \beta c </math> and applying the coordinate transformation,

<math display="block">y = x +\tau b ,\ \ \ y_0= x_0 + \tau_0 b  </math>

With <math>P(x, t, |x_0, t_0) = q(y, \tau|y_0, \tau_0)</math> the Smoluchowki equation becomes,
<math display="block">\partial_\tau q(y, \tau| y_0, \tau_0) =\partial_y^2 q(y, \tau| y_0, \tau_0)</math>

Which is the free diffusion equation with solution,
<math display="block">q(y, \tau| y_0, \tau_0)= \frac{1}{\sqrt {4 \pi (\tau - \tau_0)}} e^{ -\frac{(y-y_0)^2}{4(\tau-\tau_0)} }</math>

And after transforming back to the original coordinates,
<math display="block">P(x, t | x_0, t_0)= \frac{1}{\sqrt{4 \pi  D (t - t_0)}} \exp {\left[{ -\frac{(x-x_0+ D \beta c(t-t_0))^2}{4D(t-t_0)}} \right]}</math>

==== Simulation ====
The simulation on the right was completed using a [[Physics:Brownian dynamics|Brownian dynamics]] simulation.<ref>{{Cite web|title=Brownian Dynamics|url=https://www.ks.uiuc.edu/~kosztin/PHYCS498NSM/| last=Koztin|first=Ioan| website=Non-Equilibrium Statistical Mechanics: Course Notes|access-date=2020-05-18|archive-date=2020-01-15 | archive-url=https://web.archive.org/web/20200115202424/http://www.ks.uiuc.edu/~kosztin/PHYCS498NSM/|url-status=dead}}</ref><ref>{{Cite web |title=The Brownian Dynamics Method Applied|url=https://www.ks.uiuc.edu/~kosztin/PHYCS498NSM/| last=Kosztin|first=Ioan | website=Non-Equilibrium Statistical Mechanics: Course Notes|access-date=2020-05-18|archive-date=2020-01-15 | archive-url=https://web.archive.org/web/20200115202424/http://www.ks.uiuc.edu/~kosztin/PHYCS498NSM/|url-status=dead}}</ref> Starting with a Langevin equation for the system,
<math display="block">m\ddot{x} = - \gamma \dot{x} -c + \sigma \xi(t)</math>
where <math>\gamma</math> is the friction term, <math>\xi</math> is a fluctuating force on the particle, and <math>\sigma</math> is the amplitude of the fluctuation. At equilibrium the frictional force is much greater than the inertial force, <math>\left| \gamma \dot{x} \right| \gg \left| m \ddot{x} \right|</math>. Therefore, the Langevin equation becomes,
<math display="block">\gamma \dot{x} = -c + \sigma \xi(t)</math>

For the Brownian dynamic simulation the fluctuation force <math>\xi(t)</math> is assumed to be Gaussian with the amplitude being dependent of the temperature of the system <math display="inline">\sigma = \sqrt{2\gamma k_\text{B} T}</math>.  Rewriting the Langevin equation,

<math display="block">\frac{dx}{dt}=-D \beta c + \sqrt{2D}\xi(t)</math>
where <math display="inline">D = \frac{k_\text{B}T}{\gamma}</math> is the Einstein relation. The integration of this equation was done using the [[Euler–Maruyama method]] to numerically approximate the path of this Brownian particle.

==Solution==
Being a [[Partial differential equation|partial differential equation]], the Fokker–Planck equation can be solved analytically only in special cases. A formal analogy of the Fokker–Planck equation with the [[Physics:Schrödinger equation|Schrödinger equation]] allows the use of advanced operator techniques known from quantum mechanics for its solution in a number of cases. Furthermore, in the case of overdamped dynamics when the Fokker–Planck equation contains second partial derivatives with respect to all spatial variables, the equation can be written in the form of a [[Physics:Master equation|master equation]] that can easily be solved numerically.<ref>{{Cite journal| author= Holubec Viktor, Kroy Klaus, and Steffenoni Stefano |title=Physically consistent numerical solver for time-dependent Fokker–Planck equations |journal=Phys. Rev. E |volume=99 |issue= 4|pages=032117 |year=2019 |doi=10.1103/PhysRevE.99.032117|pmid=30999402 |arxiv=1804.01285 |bibcode=2019PhRvE..99c2117H |s2cid=119203025 }}</ref>
In many applications, one is only interested in the steady-state probability distribution <math> p_0(x)</math>, which can be found from <math display="inline">\frac{\partial p(x,t)}{\partial t} = 0</math>.
The computation of mean first passage times and splitting probabilities can be reduced to the solution of an ordinary differential equation which is intimately related to the Fokker–Planck equation.

==Particular cases with known solution and inversion==
In [[Finance:Mathematical finance|mathematical finance]] for [[Finance:Volatility smile|volatility smile]] modeling of options via [[Finance:Local volatility|local volatility]], one has the problem of deriving a diffusion coefficient <math>{\sigma}(\mathbf{X}_t,t)</math> consistent with a probability density obtained from market option quotes. The problem is therefore an inversion of the Fokker–Planck equation: Given the density f(x,t) of the option underlying ''X'' deduced from the option market, one aims at finding the local volatility <math>{\sigma}(\mathbf{X}_t,t)</math> consistent with ''f''. This is an [[Inverse problem|inverse problem]] that has been solved in general by Dupire (1994, 1997) with a non-parametric solution.<ref>[[Biography:Bruno Dupire|Bruno Dupire]] (1994) Pricing with a Smile. ''Risk Magazine'', January, 18–20.</ref><ref>[[Biography:Bruno Dupire|Bruno Dupire]] (1997) Pricing and Hedging with Smiles. Mathematics of Derivative Securities. Edited by M.A.H. Dempster and S.R. Pliska, Cambridge University Press, Cambridge, 103–111. {{ISBN|0-521-58424-8}}.</ref> Brigo and Mercurio (2002, 2003) propose a solution in parametric form via a particular local volatility <math>{\sigma}(\mathbf{X}_t,t)</math> consistent with a solution of the Fokker–Planck equation given by a [[Mixture model|mixture model]].<ref>{{Cite journal| doi = 10.1142/S0219024902001511| year = 2002| last1 = Brigo | first1 = D.| last2 = Mercurio| first2 = Fabio| title = Lognormal-Mixture Dynamics and Calibration to Market Volatility Smiles| journal = International Journal of Theoretical and Applied Finance| volume = 5| issue = 4| pages = 427–446| citeseerx = 10.1.1.210.4165}}</ref><ref>{{Cite journal| doi = 10.1088/1469-7688/3/3/303| title = Alternative asset-price dynamics and volatility smile| year = 2003| last1 = Brigo | first1 = D.| last2 = Mercurio | first2 = F.| last3 = Sartorelli | first3 = G.| journal = Quantitative Finance| volume = 3| issue = 3| pages = 173–183| s2cid = 154069452}}</ref> More information is available also in Fengler (2008),<ref>Fengler, M. R. (2008). Semiparametric Modeling of Implied Volatility, 2005, Springer Verlag, {{ISBN|978-3-540-26234-3}}</ref> Gatheral (2008),<ref>Jim Gatheral (2008). The Volatility Surface. Wiley and Sons, {{ISBN|978-0-471-79251-2}}.</ref> and Musiela and Rutkowski (2008).<ref>Marek Musiela, Marek Rutkowski. ''Martingale Methods in Financial Modelling'', 2008, 2nd Edition, Springer-Verlag, {{ISBN|978-3-540-20966-9}}.</ref>

==Fokker–Planck equation and path integral==

Every Fokker–Planck equation is equivalent to a [[Physics:Path integral formulation|path integral]]. The path integral formulation is an excellent starting point for the application of field theory methods.<ref>{{Cite book|author=Zinn-Justin, Jean |title=Quantum field theory and critical phenomena |publisher=Clarendon Press |location=Oxford |year=1996 |isbn=978-0-19-851882-2 }}</ref> This is used, for instance, in [[Critical phenomena#Critical dynamics|critical dynamics]].

A derivation of the path integral is possible in a similar way as in quantum mechanics. The derivation for a Fokker–Planck equation with one variable <math>x</math> is as follows. Start by inserting a delta function and then integrating by parts:

<math display="block">\begin{align}
\frac{\partial }{\partial t} p{\left( x', t\right)}
& = - \frac{\partial }{\partial x'} \left[ D_1(x',t) p(x',t) \right] +  \frac{\partial^2 }{\partial {x'}^2} \left[ D_2(x',t) p(x',t) \right] \\[1ex]
& = \int_{\Reals} dx\left[ \left( D_{1}{\left( x,t\right)} \frac{\partial }{\partial x} + D_2{ \left( x,t\right)} \frac{\partial^2}{\partial x^2}\right) \delta{\left( x' -x\right)} \right] p(x,t).
\end{align}</math>

The <math>x</math>-derivatives here only act on the <math>\delta</math>-function, not on <math>p(x,t)</math>. Integrate over a time interval <math>\varepsilon</math>,

<math display="block">p(x', t + \varepsilon) =\int_{-\infty}^\infty \, \mathrm{d}x\left(\left( 1+\varepsilon \left[ D_1(x,t) \frac \partial {\partial x} + D_2(x,t) \frac{\partial^2}{\partial x^2}\right]\right) \delta(x' - x) \right) p(x,t)+O(\varepsilon^2).</math>

Insert the Fourier integral

<math display="block">\delta{\left( x' - x\right)} = \int_{-i\infty}^{i\infty} \frac{\mathrm{d} \tilde{x}}{2\pi i} e^{\tilde{x} {\left( x - x'\right)}}</math>

for the <math>\delta</math>-function,

<math display="block">\begin{align}
p(x', t+\varepsilon) & = \int_{-\infty}^\infty \mathrm{d}x \int_{-i\infty}^{i\infty} \frac{\mathrm{d}\tilde{x}}{2\pi i} \left(1+\varepsilon \left[ \tilde{x} D_1(x,t) +\tilde{x}^2 D_2(x,t) \right] \right) e^{\tilde{x} (x - x')}p(x,t) +O(\varepsilon^2) \\[5pt]
& =\int_{-\infty}^\infty \mathrm{d}x \int_{-i\infty}^{i\infty} \frac{\mathrm{d}\tilde{x}}{2\pi i}\exp \left( \varepsilon \left[ -\tilde{x}\frac{(x'- x) }\varepsilon + \tilde{x} D_1(x,t) +\tilde{x}^2 D_2(x,t) \right] \right) p(x,t) +O(\varepsilon^2).
\end{align}</math>

This equation expresses <math>p(x', t+\varepsilon)</math> as functional of <math>p(x,t)</math>. Iterating <math>(t'-t)/\varepsilon</math> times and performing the limit <math>\varepsilon \rightarrow 0</math> gives a path integral with [[Physics:Action|action]]

<math display="block">S=\int \mathrm{d}t\left[ \tilde{x} D_1 (x,t) +\tilde{x}^2 D_2 (x,t) -\tilde{x}\frac{\partial x}{\partial t} \right].</math>

The variables <math>\tilde{x}</math> conjugate to <math>x</math> are called "response variables".<ref name="Janssen">{{Cite journal | last=Janssen |first=H. K. |title=On a Lagrangean for Classical Field Dynamics and Renormalization Group Calculation of Dynamical Critical Properties |journal=Z. Phys. |volume=B23 |issue= 4|pages=377–380 |year=1976 |doi=10.1007/BF01316547 |bibcode = 1976ZPhyB..23..377J |s2cid=121216943 }}</ref>

Although formally equivalent, different problems may be solved more easily in the Fokker–Planck equation or the path integral formulation. The equilibrium distribution for instance may be obtained more directly from the Fokker–Planck equation.

==See also==
{{Div col|colwidth=20em}}
* [[Kolmogorov backward equations (diffusion)|Kolmogorov backward equation]]
* [[Boltzmann equation]]
* [[Langevin equation]]
* [[Vlasov equation]]
* [[Physics:Master equation|Master equation]]
* [[Mean-field game theory]]
* [[Physics:BBGKY hierarchy|Bogoliubov–Born–Green–Kirkwood–Yvon hierarchy of equations]]
* [[Ornstein–Uhlenbeck process]]
* [[Physics:Convection–diffusion equation|Convection–diffusion equation]]
* [[Klein–Kramers equation]]
{{div col end}}

==Notes and references==
{{Reflist}}

==Further reading==
*{{cite book |first=Till Daniel |last=Frank |year=2005 |title=Nonlinear Fokker–Planck Equations: Fundamentals and Applications |series=Springer Series in Synergetics |publisher=Springer |isbn=3-540-21264-7 }}
*{{cite book |first=Crispin |last=Gardiner |year=2009 |title=Stochastic Methods |edition=4th |publisher=Springer |isbn=978-3-540-70712-7 }}
*{{cite book |first=Grigorios A. |last=Pavliotis |title=Stochastic Processes and Applications: Diffusion Processes, the Fokker–Planck and Langevin Equations |year=2014 |series=Springer Texts in Applied Mathematics |publisher=Springer |isbn=978-1-4939-1322-0 }}
*{{cite book |first=Hannes |last=Risken |title=The Fokker–Planck Equation: Methods of Solutions and Applications |edition=2nd |year=1996 |series=Springer Series in Synergetics |publisher=Springer |isbn=3-540-61530-X }}

{{DEFAULTSORT:Fokker-Planck equation}}
[[Category:Stochastic processes]]
[[Category:Equations]]
[[Category:Parabolic partial differential equations]]
[[Category:Stochastic calculus]]
[[Category:Mathematical finance]]
[[Category:Transport phenomena]]

{{Sourceattribution|Fokker–Planck equation}}